BNY Mellon (Ireland) Risk Analysis And Volatility Evaluation

F00000S937 -- Ireland Fund  

EUR 2.10  0.04  1.87%

BNY Mellon is unknown risk given 1 month investment horizon. BNY Mellon Japan secures Sharpe Ratio (or Efficiency) of 0.3153 which signifies that BNY Mellon Japan had 0.3153% of return per unit of volatility over the last 1 month. Our approach towards foreseeing risk of a fund is to use both market data as well as company specific technical data. We found twenty-one different technical indicators which can help you to evaluate if expected returns of 1.3319% are justified by taking the suggested risk. Use BNY Mellon Risk Adjusted Performance of 0.05 and Mean Deviation of 1.19 to evaluate company specific risk that cannot be diversified away.
Horizon     30 Days    Login   to change

BNY Mellon Market Sensitivity

As returns on market increase, BNY Mellon returns are expected to increase less than the market. However during bear market, the loss on holding BNY Mellon will be expected to be smaller as well.
One Month Beta |Analyze BNY Mellon Japan Demand Trend
Check current 30 days BNY Mellon correlation with market (DOW)
β = 0.6716
BNY Mellon Small BetaBNY Mellon Japan Beta Legend

BNY Mellon Japan Technical Analysis

Transformation
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BNY Mellon Projected Return Density Against Market

Assuming 30 trading days horizon, BNY Mellon has beta of 0.6716 suggesting as returns on market go up, BNY Mellon average returns are expected to increase less than the benchmark. However during bear market, the loss on holding BNY Mellon Japan Sm Cap Focus I EUR Hdg will be expected to be much smaller as well. Additionally, BNY Mellon Japan Sm Cap Focus I EUR Hdg has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
 Predicted Return Density 
      Returns 
Assuming 30 trading days horizon, the coefficient of variation of BNY Mellon is 317.16. The daily returns are destributed with a variance of 17.84 and standard deviation of 4.22. The mean deviation of BNY Mellon Japan Sm Cap Focus I EUR Hdg is currently at 3.31. For similar time horizon, the selected benchmark (DOW) has volatility of 0.45
α
Alpha over DOW
=0.43
β
Beta against DOW=0.67
σ
Overall volatility
=4.22
Ir
Information ratio =0.2

BNY Mellon Return Volatility

BNY Mellon Japan Sm Cap Focus I EUR Hdg accepts 4.2243% volatility on return distribution over the 30 days horizon. DOW inherits 0.4168% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

BNY Mellon Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

BNY Mellon Investment Opportunity

BNY Mellon Japan Sm Cap Focus I EUR Hdg has a volatility of 4.22 and is 10.05 times more volatile than DOW. 38% of all equities and portfolios are less risky than BNY Mellon. Compared to the overall equity markets, volatility of historical daily returns of BNY Mellon Japan Sm Cap Focus I EUR Hdg is lower than 38 (%) of all global equities and portfolios over the last 30 days. Use BNY Mellon Japan Sm Cap Focus I EUR Hdg to protect against small markets fluctuations. The fund experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of BNY Mellon to be traded at €2.04 in 30 days. As returns on market increase, BNY Mellon returns are expected to increase less than the market. However during bear market, the loss on holding BNY Mellon will be expected to be smaller as well.

BNY Mellon correlation with market

Significant diversification
Overlapping area represents the amount of risk that can be diversified away by holding BNY Mellon Japan Sm Cap Focus and equity matching DJI index in the same portfolio.

BNY Mellon Volatility Indicators

BNY Mellon Japan Sm Cap Focus I EUR Hdg Current Risk Indicators

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